ESMA_QA_1444

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1444

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Regulatory Context

Regulation : SECR

Level 1 Regulation: Securitisation Regulation (EU) 2017/2402

Level 2 Regulation: No information available

Level 3 Regulation: No information available

Topic: Securitisation Disclosure Templates

Subject Matter: Annexes 12 and 13: Investor Reports - Trigger Measurements/Ratios

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Question

Submission Date: 19 November 2019

If a single underlying exposure goes into default, should the field “IVSS12” by definition be completed with a ‘Y’?

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ESMA Answer

Answer Date: 19-11-2021

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.14.22] No. This field refers exclusively to underlying exposure-related events which trigger changes in the priority of payments or the replacement of any counterparties.

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This document was automatically extracted from the ESMA EMIR Q&A database.